Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
Publication:1934446
DOI10.1007/s11425-012-4386-yzbMath1274.62567OpenAlexW1993801618MaRDI QIDQ1934446
Wei-Guo Zhang, Xili Zhang, Wei-Lin Xiao
Publication date: 28 January 2013
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-012-4386-y
asymptotic normalityfractional Brownian motionsOrnstein-Uhlenbeck processstrong consistencyminimum contrast estimator
Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)
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